Multi-scale tests for serial correlation
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Publication:473345
DOI10.1016/j.jeconom.2014.08.002zbMath1332.62297OpenAlexW2107781784MaRDI QIDQ473345
Daniele Signori, Ramazan Gençay
Publication date: 24 November 2014
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2014.08.002
waveletsindependenceserial correlationvariance decompositiondiscrete wavelet transformationmaximum overlap wavelet transformationvariance ratio test
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Non-Markovian processes: hypothesis testing (62M07)
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Uses Software
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